Price & Market BehaviorExtended setlive in productionNew

volume dispersion reversal

Updated dailyData needs: lowlong onlyshort onlylong short

2023

Lof, M. & van Bommel, J. (2023). Asymmetric information and the distribution of trading volume. Journal of Corporate Finance, 82, 102464.

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In plain terms

When a stock's daily trading volume swings wildly, it is a sign that informed traders are active, and the recent price move tends to reverse.

How it works

The volume coefficient of variation (trailing std/mean of daily share volume) increases with the share of informed trade, which clusters volume onto information days; high-VCV names carry more adverse-selection risk and show stronger short-horizon return reversals as uninformed price pressure gets corrected. Low-VCV names trade uniformly with little to fade. The per-ticker version ranks VCV against the name's own trailing 1y history.

Live results

1168 times picked on its own · 1457 times inside a blend (1416 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 1457 such blended picks (1416 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

High volume dispersion flags adverse-selection-heavy names that mean-revert, so fading their recent move earns the reversal.

Related families

Amihud IlliquidityPrice & Market Behavior

Measures how much the price moves per dollar traded. Stocks costly to exit must pay investors more — long the illiquid names for the premium.

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